Back Custom print Link Text Only Rich Text Print

  • Risk Weights for HVCRE

    • CA-5.3.9

      Banks that do not meet the requirements for estimation of PD, must map their internal grades to five supervisory categories, each of which is associated with a specific risk weight. The slotting criteria on which this mapping must be based are the same as those for IPRE, as provided in Appendix CA-7. The risk weights associated with each category are:

      Supervisory Categories and UL Risk Weights for High-volatility Commercial Real Estate

      Strong Good Satisfactory Weak Default
      95% 120% 140% 250% 0%
      Amended: April 2011
      Apr 08

    • CA-5.3.10

      As indicated in paragraph CA-5.3.7, each supervisory category broadly corresponds to a range of external credit assessments.

      Apr 08

    • CA-5.3.11

      Banks that meet the requirements for the estimation of PD will use the same formula for the derivation of risk weights that is used for other SL exposures, except that they will apply the following asset correlation formula:

      Correlation (R) = 0.12 x (1 - EXP(-50 × PD)) / (1 - EXP(-50)) + 0.30 x [1 - (1 - EXP(-50 × PD)) / (1 - EXP(-50))]

      Apr 08